SoFiE 2018 - Econometrics and Finance under the spotlight in Lugano

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Institutional Communication Service

7 June 2018

During the global financial crisis of 2008, a rather concerned Queen Elizabeth asked to an audience of economists at a conference, “Why did nobody see it coming?” Economists themselves, including Nobel Prize winner Paul Samuelson, have often admitted that Economics is not an exact science. The highly influential 20th-century economist nevertheless adds that, "[we economists] are not converging towards accuracy, but we are improving our databases and our ways of thinking about them".

Understanding economic events and anticipating financial market trends are complex but also very fascinating challenges, as the over 150 participants in the 11th Annual Conference of the Society for Financial Econometrics (SoFiE) know well. The three-day conference, which takes place at the Lugano Palazzo dei Congressi and the USI campus from June 13 to 16, will showcase the latest advances in financial econometrics, with special emphasis on the new technological developments in finance and econometric methods for Fintech and machine learning. The conference also intends to foster the dialogue between academics and practitioners on finance research topics.

The discipline of econometrics, since the 1920s, has been (and is) in constant and rapid development, addressing the growing complexity of economic and financial phenomena that require the use of empirical analysis and the formulation of formal models to process the increasing amount of data available. There has been considerable progress in this field of study, and today the ability to estimate economic, social, financial – and even biomedical – events has improved to levels unimaginable only 20 years ago. For example, econometric models are now essential tools in the decision-making processes underlying economic and monetary policies. In addition, these models are used to manage pension funds and investment funds, affecting large parts of the population and the overall economy of industrialised countries.

The Society for Financial Econometrics (SoFiE), an independent non-profit membership organization founded in 2008 and currently housed at New York University, is a global network of academics – including two Nobel prize winners, one of which is Prof. Robert F. Engle, who will be at the conference and who at USI received a honorary doctorate in 2003 – and practitioners dedicated to sharing research and ideas in the fast-growing field of financial econometrics. Among The choice of Lugano for the 11th Annual Congress is not casual: Università della Svizzera italiana has been a pioneer in this field, including the discipline in the study curricula of the Faculty of Economics since its foundation in 1996, as a core course in its Bachelor, Master and PhD programs.

Keynote Speakers

Pierre Collin-Dufresne, EPFL and SFI

Ronnie Sadka, Boston College

Allan Timmermann, University of California San Diego

Caroline Uhler, Massachusetts Institute of Technology

Paolo Zaffaroni, Imperial College, London

Jean-Michel Zakoian, CREST, Paris

 

HALBERT WHITE JR. MEMORIAL JFEC INVITED LECTURE

Joel Hasbrouck, NYU Stern School of Business

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